Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0032
Annualized Std Dev 0.0150
Annualized Sharpe (Rf=0%) 0.2128

Row

Daily Return Statistics

Close
Observations 4694.0000
NAs 1.0000
Minimum -0.0066
Quartile 1 -0.0004
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0005
Maximum 0.0071
SE Mean 0.0000
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0000
Variance 0.0000
Stdev 0.0009
Skewness -0.5044
Kurtosis 6.1544

Downside Risk

Close
Semi Deviation 0.0007
Gain Deviation 0.0006
Loss Deviation 0.0008
Downside Deviation (MAR=210%) 0.0084
Downside Deviation (Rf=0%) 0.0007
Downside Deviation (0%) 0.0007
Maximum Drawdown 0.0450
Historical VaR (95%) -0.0014
Historical ES (95%) -0.0024
Modified VaR (95%) -0.0016
Modified ES (95%) -0.0030
From Trough To Depth Length To Trough Recovery
2004-03-25 2006-07-05 2008-01-17 -0.0450 961 574 387
2016-07-06 2018-11-08 2020-02-27 -0.0292 918 593 325
2008-03-18 2008-06-12 2008-11-19 -0.0289 173 61 112
2008-12-17 2009-12-31 2015-10-02 -0.0241 1710 262 1448
2003-06-16 2003-09-02 2004-03-09 -0.0134 185 55 130

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2002 NA NA NA NA NA NA 0.2 0 -0.3 -0.3 0 -0.1 -0.4
2003 0 0 -0.2 -0.2 0 -0.1 -0.2 0 -0.1 0 -0.3 0 -1.1
2004 0 -0.2 -0.3 0 -0.3 -0.2 0.1 -0.1 -0.2 -0.2 -0.1 -0.1 -1.5
2005 -0.2 -0.2 -0.2 -0.1 0 -0.5 -0.3 -0.2 -0.1 -0.3 -0.4 0 -2.4
2006 -0.4 -0.4 0 -0.4 -0.2 0.1 -0.3 -0.2 -0.1 -0.3 -0.2 0 -2.3
2007 -0.4 -0.2 0 -0.4 -0.4 0.2 -0.5 0.2 -0.3 0 0 0.2 -1.6
2008 -0.2 0.3 -0.6 -0.4 0.1 -0.3 -0.3 0 0 0 -0.2 0 -1.3
2009 0.1 0.1 -0.2 -0.3 -0.2 0 0.2 0 0 0.1 -0.7 -0.1 -1.2
2010 -0.1 -0.1 -0.1 0.1 -0.1 -0.1 0 -0.1 -0.1 0 -0.2 0.1 -0.8
2011 -0.2 0 0 0 0 -0.1 -0.1 0 0 0 0 0.1 -0.4
2012 -0.1 -0.1 0 0 0 0 0 0.1 0 0 0 0 -0.2
2013 0 0 0 0 0 0 -0.1 0 0 -0.1 0 0 -0.2
2014 0 0 -0.1 0 0 -0.1 0.1 0 0.1 0 0 0 0
2015 0.1 0 0 -0.1 -0.1 -0.1 0.1 0 0 0 0 0 -0.2
2016 -0.1 -0.2 -0.1 0 -0.1 0 -0.1 0 -0.1 -0.1 -0.1 0 -0.8
2017 -0.1 -0.1 0 -0.1 -0.1 0 0 -0.1 0 -0.1 -0.1 0 -0.8
2018 -0.1 0 0 -0.2 -0.2 0 -0.2 0 -0.2 -0.1 0 0 -0.9
2019 -0.3 -0.3 -0.3 -0.3 0.2 -0.2 0.1 0 0 -0.2 0 0 -1.3
2020 0.1 0.4 -0.1 -0.2 -0.1 -0.1 0 -0.1 -0.1 0 -0.1 0 -0.2
2021 0 0 0 NA NA NA NA NA NA NA NA NA -0.1

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart